Téléchargez le livre : Stochastic Models for Prices Dynamics in Energy and Commodity Markets

Stochastic Models for Prices Dynamics in Energy and Commodity Markets

An Infinite-Dimensional Perspective de

,

Éditeur :

Springer


Paru le : 2023-11-16

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Description

This monograph presents a theory for random field models in time and space, viewed as stochastic processes with values in a Hilbert space, to model the stochastic dynamics of forward and futures prices in energy, power, and commodity markets.
 
In this book, the well-known Heath–Jarrow–Morton approach from interest rate theory is adopted and extended into an infinite-dimensional framework, allowing for flexible modeling of price stochasticity across time and along the term structure curve. Various models are introduced based on stochastic partial differential equations with infinite-dimensional Lévy processes as noise drivers, emphasizing random fields described by low-dimensional parametric covariance functions instead of classical high-dimensional factor models. The Filipovic space, a separable Hilbert space of Sobolev type, is found to be a convenient state space for the dynamics of forward and futures term structures. The monograph provides a classification of important operators in this space, covering covariance operators and the stochastic modeling of volatility term structures, including the Samuelson effect. Fourier methods are employed to price many derivatives of interest in energy, power, and commodity markets, and sensitivity 'delta' expressions can be derived. Additionally, the monograph covers forward curve smoothing, the connection between forwards with fixed delivery and delivery period, as well as the classical theory of forward and futures pricing.
 
This monograph will appeal to researchers and graduate students interested in mathematical finance and stochastic analysis applied in the challenging markets of energy, power, and commodities. Practitioners seeking sophisticated yet flexible and analytically tractable risk models will also find it valuable.
Pages
250 pages
Collection
n.c
Parution
2023-11-16
Marque
Springer
EAN papier
9783031403668
EAN PDF
9783031403675
Informations sur l'ebook
Nombre pages copiables
2
Nombre pages imprimables
25
Taille du fichier
6420 Ko
Prix
137,14 €
EAN EPUB
9783031403675
Informations sur l'ebook
Nombre pages copiables
2
Nombre pages imprimables
25
Taille du fichier
21934 Ko
Prix
137,14 €

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